Miller is from the Graduate School of Business, University of Chicago. Muthuswamy is from the National University of Singapore. Whaley is from the Fuqua School of Business, Duke University. This research is supported by the Futures and Options Research Center at Duke University. We are grateful for valuable comments and suggestions by Craig Ansley, Messod D. Beneish, Fischer Black, John Cochrane, Wayne Ferson, David Hsieh, Stephen Kaplan, Laura Kodres, Paul Kupiec, Fred Lindahl, Rob Neal, David Siegmund, Tom Smith, René Stulz, and two anonymous referees, as well as seminar participants at the Commodity Futures Trading Commission (CFTC), Clemson University, Duke University, Erasmus University, Johns Hopkins University, Laval University, London Business School, University of Chicago, University of Karlsruhe, University of Michigan, University of North Carolina, University of Pennsylvania, University of Science and Technology at Hong Kong, University of Toronto, University of Virginia, and the 1992 Western Finance Association meetings in San Francisco, California. We are also grateful to Carl Bell and Robert Nau for technical support and to Jim Shapiro at the NYSE for providing the index arbitrage trading volume data.
Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-induced or Statistical Illusion?
Article first published online: 30 APR 2012
1994 The American Finance Association
The Journal of Finance
Volume 49, Issue 2, pages 479–513, June 1994
How to Cite
MILLER, M. H., MUTHUSWAMY, J. and WHALEY, R. E. (1994), Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-induced or Statistical Illusion?. The Journal of Finance, 49: 479–513. doi: 10.1111/j.1540-6261.1994.tb05149.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012